Options on constant proportion portfolio insurance with guaranteed minimum equity exposure

2020 ◽  
Author(s):  
Luca Di Persio ◽  
Immacolata Oliva ◽  
Kai Wallbaum
Keyword(s):  
Portfolio Insurance ◽  
Constant Proportion ◽  
Constant Proportion Portfolio Insurance

scholarly journals Constant Proportion Portfolio Insurance Strategy in Southeast European Markets

2016 ◽  
Vol 7 (1) ◽  
pp. 59-80
Author(s):  
Elma Agić-Šabeta
Keyword(s):  
Investment Strategies ◽  
Government Bond ◽  
Portfolio Insurance ◽  
Risky Assets ◽  
Constant Proportion ◽  
Bond Returns ◽  
High Volatility ◽  
Government Bond Markets ◽  
Constant Proportion Portfolio Insurance ◽  
The Government

Abstract Background: In today’s highly volatile and unpredictable market conditions, there are very few investment strategies that may offer a certain form of capital protection. The concept of portfolio insurance strategies presents an attractive investment opportunity. Objectives: The main objective of this article is to test the use of portfolio insurance strategies in Southeast European (SEE) markets. A special attention is given to modelling non-risky assets of the portfolio. Methods/Approach: Monte Carlo simulations are used to test the buy-and-hold, the constant-mix, and the constant proportion portfolio insurance (CPPI) investment strategies. A covariance discretization method is used for parameter estimation of bond returns. Results: According to the risk-adjusted return, a conservative constant mix was the best, the buy-and-hold was the second-best, and the CPPI the worst strategy in bull markets. In bear markets, the CPPI was the best in a high-volatility scenario, whereas the buy-and-hold had the same results in low- and medium-volatility conditions. In no-trend markets, the buy-and-hold was the first, the constant mix the second, and the CPPI the worst strategy. Higher transaction costs in SEE influence the efficiency of the CPPI strategy. Conclusions: Implementing the CPPI strategy in SEE could be done by combining stock markets from the region with government bond markets from Germany due to a lack of liquidity of the government bond market in SEE.

scholarly journals Constant proportion portfolio insurance strategies in contagious markets

2017 ◽  
Vol 18 (2) ◽  
pp. 311-331 ◽  
Author(s):  
Alice Buccioli ◽  
Thomas Kokholm
Keyword(s):  
Portfolio Insurance ◽  
Constant Proportion ◽  
Constant Proportion Portfolio Insurance
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